JPMorgan Duration Survey

January 13th, 2015 7:14 am

Via Bloomberg:

RATES: Longs Fall in Latest JPM Treasury Survey
2015-01-13 12:11:33.729 GMT

By Robert Elson
(Bloomberg) — The JPMorgan Treasury Client Survey for the
week ended Jan. 12 vs week ended Jan. 5.
* Longs 13 vs 17
* Neutrals 65 vs 66
* Shorts 22 vs 17
* Net longs -9 vs 0
* “The all clients survey shows the fewest changes since
December 1, 2014’’
* Active clients:
* Longs 17 vs 25
* Neutrals at 75, unchanged
* Shorts 8 vs 0
* Net longs 9 vs 25
* “The active clients survey shows the fewest changes
since December 8, 2014
* “The active clients survey shows the fewest changes
since December 8, 2014</li></ul>

What to Watch Today

January 13th, 2015 6:49 am

Via the good folks at Bloomberg:

WHAT TO WATCH:
* (All times New York)
Economic Data
* 9:00am: NFIB Small Business Optimism, Dec., est. 98.5 (prior
98.1)
* 10:00am: IBD/TIPP Economic Optimism, Jan., est. 48.7 (prior
48.4)
* 10:00am: JOLTS Job Openings, Nov., est. 4.850m (prior
4.834m)
* 2:00pm: Monthly Budget Statement, Dec., est. +$3b (prior
+$53.2b)
Central Banks
* 5:00pm: Fed’s Kocherlakota speaks in New York
Supply
* 11:30am: U.S. to sell $30b 4W bills
* 1:00pm: U.S. to sell $21b 10Y notes in reopening

FX

January 13th, 2015 6:42 am

Via Marc Chandler at Brown Brothers Harriman:

Oil Continues to Slide, Blowing Deflationary Winds

– The continued fall in oil remains one of the main features of the investment climate
– Lower bond yields are encouraging investors to move into equities
– The US corporate earnings season formally began with solid results by Alcoa yesterday
– BOE Governor Carney has to write a letter to Chancellor of the Exchequer Osborne to explain the inflation undershoot

Price action:  The dollar is mostly stronger on the day.  The Swiss franc and the euro are underperforming, whilst Stockie is outperforming after deflation was reported shallower than expected.  The euro is trading around $1.1800 and sterling is trading on both sides of $1.5100 following the weaker UK CPI print.  Dollar/yen is trading around ¥118.50.  In the EM space, the ruble is following oil prices lower and is back above 65 against the dollar, while the Malaysian ringgit was also hit, falling 0.8% against the dollar.  Most other EM currencies are little changed.  MSCI Asia Pacific index was little changed for the second straight day, with the Nikkei down 0.6%.  Euro Stoxx 600 is up 0.8% near midday and S&P futures are pointing to a higher open.  Oil prices are down, with WTI trading near $44.50 per barrel and Brent below $46.00 per barrel.

 

  • Brent oil is off another 3.5% today, taking its decline since the end of last year to 20%.  This is overshadowing other macro-economic forces.  With the Federal Reserve among the least likely central banks to respond, the dollar is firm, even if within recent ranges.  
  • The deflationary forces are depressing bond yields, arguably more than central bank buying could, encouraging investors to move into equities.  Core European bonds yields, as well as Spanish and Italian benchmark 10-year yields, are off 3 bp.  US 10-year Treasury yields are also off 3 bp and are just above the mid-October flash crash low of 1.86%.  A break here could spur another 20-30 bp move from a technical perspective.  
  • Asian equities struggled after US equity losses yesterday, with Japan re-opening after yesterday’s holiday.  Chinese equities snapped their small losing streak.  On the other hand, European shares are moving higher with the Dow Jones Stoxx 600 up 0.75%, though the energy sector is a drag.  The decline in energy prices is expected to boost disposable income, and this is helping the consumer staples and discretionary sectors.  
  • The US corporate earnings season formally began with Alcoa yesterday.  Both its top and bottom lines beat expectations.  Foreign exchange developments actually worked to its benefit, contrary to media reports that made it seem as if they would only work against US earnings.  Yesterday, the S&P 500 closed the downside gap created from the higher opening on January 8, easing some of the technical downside pressure.  US shares are trading higher in Europe, pointing to a higher open today.  
  • Two inflation reports and two trade reports dominate today’s macro-economic developments.  The UK reported a 0.5% year-over-year increase in CPI.  This was below the 0.7% consensus and is half the pace seen in November.  BOE Governor Carney has to write a letter to Chancellor of the Exchequer Osborne to explain the undershoot.  Energy and food prices are the key drivers.  We note that the core rate actually ticked up from 1.2% to 1.3%.  The December short-sterling futures firmed to test the contract high set last April at 99.32 (implied yield 68 bp) as the market all but gives up on the idea of a rate hike this year.  
  • Sweden also reported December CPI figures.  It was surprisingly firm at 0.2% on the month.  The market had expected a 0.1% decline.  The year-over-year rate did slip into more negative territory (-0.3% from -0.2%) but was not as low as had been feared/expected (-0.5%).  The underlying rate did tick up to 0.2% from 0.0%, but caution is advised here.  The underlying rate is calculating using a fixed mortgage interest rate rather than excluding food and energy.  
  • The Swedish krona rallied on the news and is the strongest of the major currencies today, gaining 1% against the US dollar.  The Riksbank meets on February 12, and an adoption of aggressive action seems somewhat less likely now.  It may still adjust its forward guidance, pushing out the timing of the first rate hike and perhaps lengthening some repo operations, but negative rates or bond purchases seems unlikely.  
  • Japan and China reported trade figures.  Japan’s November current account surplus was larger than expected at JPY433 bln, but was a little more than half of the October surplus, due largely to seasonal factors.  The drop in oil price appears to be doing what the decline in the yen has largely failed to do, and that is improve the trade balance.  This is likely to continue in the months ahead.  
  • China’s December trade surplus was largely in line with expectations at $49.6 bln.  However, the mix was surprising.  Exports on a year-over-year basis doubled to 9.7% from 4.7% in November.  The consensus expected a 6.0% increase.  Imports surprised too.  They fell 2.4% after November’s 6.7% decline.  The consensus expected a 6.2% fall.  There are some suspicions that there may still be an invoicing problem as a way to disguise capital flows.  However, in the past such invoicing irregularities were a way to conceal capital inflows while the yuan was appreciating.  The yuan depreciated by 1% in December after slipping 0.5% in November.  
  • Separately, and receiving less attention, Greece reported the pace of deflation intensified in December.  Under the harmonized calculus, Greece CPI fell -2.5% year-over-year from -1.2% in November.  With yields rising ahead of the January 25 election, the real interest rate is crushing.  Separately, Italy offered a rare upside surprise.  Industrial output rose 0.3% in November, and the October series was revised to flat from -0.1%.  Italy remains among the weakest of the largest EMU members, and political tensions are likely to increase.  
  • Turkey’s November current account data came in slightly worse than expected at -$5.6 bln vs. -$2.0 bln in October.  Given the disappointing trade figures, we had expected a worse result for the current account too.  Still, the overall improving trend in the external balances is likely to persist in 2015 due to lower energy and commodity prices.  This will help inflation too, and we expect the central bank to resume easing in the coming months.  Later today, Poland reports November trade and current account data, with the former expected at EUR100 mln and the latter at –EUR452 mln.  National Bank of Poland meets Wednesday and is expected to keep rates steady at 2.0%, though there is an easing bias in place.  Poland then reports December CPI Thursday, expected at -0.9% y/y vs. -0.6% in November.  Given deepening deflation risks, we think there is a risk of a dovish surprise.  

UAE Minister on OPEC and OIL Prices

January 13th, 2015 6:34 am

Via the WSJ:
Commodities
Oil Extends Selloff on UAE Minister’s Comments

By
Georgi Kantchev
Updated Jan. 13, 2015 6:25 a.m. ET

LONDON—The oil market extended its selloff Tuesday, coming close to six-year lows, after the United Arab Emirates’ oil minister said the Organization of the Petroleum Exporting Countries would stand firm on its decision to keep output unchanged.

The market shrugged off strong data out of China and pushed below the $45 a barrel mark for the U.S. oil benchmark. The oil slide rattled financial markets and knocked currencies world-wide.

Brent crude for February delivery fell more than 4% to $45.50 a barrel on London’s ICE exchange. On the New York Mercantile Exchange, light, sweet crude futures traded at $44.44 a barrel, down $1.60 from Monday’s settlement.

“We are still very much sentiment-driven and the sentiment will continue to be negative as long as there is no change in production,” said Thina M. Saltvedt, senior oil analyst at Nordea Bank Norge. “Oil is still piling up.”

Market participants estimate that the supply of crude is currently overshooting tepid demand for the commodity by as much as 2 million barrels a day.

That mismatch has driven prices off a cliff since last summer, with Brent falling to its lowest levels since March 2009. The oil price lost around 5% on Monday alone.
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Despite the rout, OPEC will maintain its decision to keep output unchanged, the United Arab Emirates’ oil minister said Tuesday. He said producers outside the group need to be rational and adjust their output according to the market.

“(OPEC) cannot continue protecting a certain price. That is not the only aim of OPEC,” Suhail Mohamed Faraj al-Mazrouei said at an energy event in Abu Dhabi organized by Gulf Intelligence.

OPEC, led by its largest producer Saudi Arabia, has long been the world’s most influential oil broker, adjusting its output levels to guide the world’s crude prices. But at its November 2014 meeting in Vienna, the cartel decided to keep production unchanged, exacerbating the selloff in oil markets.

On Tuesday, strong data out of China, the world’s second-largest oil consumer, failed to boost sentiment. In December, the country imported 13% more crude oil than a year earlier, topping a previous record set in January 2014.

“The lack of any reaction from the market to the Chinese data indicates that demand factors play no role at present and that supply is the dominant factor,” Commerzbank wrote in a note.

China imported 30.37 million metric tons of crude oil in December, equivalent to 7.2 million barrels a day, according to government data. China’s overall exports also rose by a faster-than-expected 9.7% on stronger overseas demand, a small bright spot in the country’s slowing economy.

“The China data was strong and you would’ve thought it would support the market,” Mrs. Saltvedt said. “But the market expects that China is just stocking up while the prices are low, just as it did during the financial crisis. This is a temporary development.”

The fallout from sliding oil prices continued to shake markets Tuesday, boosting government bonds and knocking currencies from the Russian ruble to the British pound. The recent plunge in energy prices helped drag U.K. consumer price inflation down to an annual rate of 0.5%, its slowest pace in more than a decade.

Later Tuesday, the U.S. Energy Department will publish its monthly oil market report and any major revisions to global oil demand or supply projections could move oil prices.

Nymex reformulated gasoline blendstock for February—the benchmark gasoline contract—fell 2.3% to $1.2463 a gallon, while ICE gasoil for February changed hands at $460.50 a metric ton, down $11 from Monday’s settlement.

Corporate Bond Trading Yesterday

January 13th, 2015 6:28 am

Via Bloomberg:

CREDIT: Short Issues Most Active; ASIA, KFW Set to Price
2015-01-13 10:59:20.792 GMT

By Robert Elson
(Bloomberg) — The final Trace count for secondary trading
was $12.4b, unchanged from Friday, vs $11.8b last Monday.
* 144a trading added $2.2b of IG volume vs $1.9b
* 8 of top-10 most active issues were 3 years or shorter
* Most active issues longer than 3 years
* COP 4.30% 2044 was the day’s most active issue with 2-
way client flows accounting for 100% of volume
* BDX 3.25% 2020 was next with client flows taking 100% of
volume
* BDX 3.25% 2020 was next with client flows taking 100% of
volume</li></ul>
* VZ 2.625% 2020 was most active 144a issue; client flows took
86% of the volume; 3 MDT issues were among the top 5
* BofAML IG Master Index at +149 vs +148; +151, the wide for
2014 was seen Dec 16; +106, the low for 2014 and the
tightest spread since July 2007 was seen June 24
* Standard & Poor’s Global Fixed Income Research IG Index at
+177, tying the wide for 2014 seen Dec 16, vs +176; +140, a
2014 low and new post-crisis low was seen July 30, 2014
* Click here for S&P spread history in a 10-year lookback
* Markit CDX.IG.22 5Y Index at 70.9 vs 69.3; 76.1, the wide
for 2014 was seen Dec 16; 55 was seen July 3, the low for
2014 and the lowest level since Oct 2007
* December’s IG issuance was $60.5b; 2014’s was $1.395t
* IG issuance last week was $42.2b
* Monday’s IG issuance was $11.15b
* ASIA, KFW to price today; pipeline of expected domestic, SSA
January issuers; M&A-related deals for 2015; AA kicks of
earnings this afternoon
* Serial January issuers:
* GE Cap’s history as serial January issuer held
* JPM a likely January issuer, based on historical record
* BAC historically issues in January
* GS often issues in January, has large maturities in 2015
* ABIBB, BRK have history of January issuance
* ABIBB, BRK have history of January issuance</li></ul>
* Serial SSA January issuers added to pipeline

January 13 2015 Opening

January 13th, 2015 6:26 am

Prices of Treasury coupon securities have continued their astounding surge  as the price of oil continue to tumble. In overnight trading oil has dropped below $45 and the 10 year note has tested the levels attained in the famous short squeeze of October 15 2014. That is about a 1.85 yield on the 10 year note and a level I would have bet the ranch here that we would never see again for generations. And once again the market teaches the arrogant humility. In other economic news overnight retail sales in the UK printed weaker than expected and headline inflation in the UK missed forecasts too. Japan joined Germany with a zero yield on its benchmark 5 year note. So the 1.35 yield here is a steal. That yield is down from 1.382 at the close in New York yesterday. The yield on the 7 year note dropped to 1.655 from 1.686. The yield on the 10 year note slipped another notch to 1.877 from 1.909 and the Long Bond yield dropped to 2.471 from 2.499. The curve manifested disparate movements. The 6s 10s spread is tighter at 52.3 versus 52.7 at the close.The  5s 30s spread is unchanged at 111.7 while 10s 30s is steeper at 59.4 versus 59. The 10 year richened against the wings as the 5s 10s 30s spread is now -7.1 versus -6.3 late yesterday. The 2s 5s 10s spread had closed yesterday just below 30 but cheapened a tad overnight to 30.2. for some context on that spread it was the most battered of all with the market believing that rate hikes were imminent. Before Ms Yellen spoke at her inaugural press conference 2s 5s 10s traded at + 9 . In late December on the day of the 7 year note auction that spread traded to + 54. So at 31.5 we have a 50 percent retrace of that move. If it moves to 26 we have a 62 percent retrace of the March December move. That spread reflects the disbelief of market participants that the FOMC can doing anything very aggressive when (an if) it begins to hike rates.

Volume in the Treasury market are quite heavy today. One trader noted that volume in the futures market is 2 times the 10 day average. Dealers report spread product buying in the 3 year sector. Central banks bought 7s and 30s. Real money in Japan  sold very short coupons and extended into the 5 year sector. Central banks sold 2s. Trading accounts who shorted 2s and 10s realized their grievous error and were stopped out of those trades.

Today the Treasury will auction a batch of new 10 year notes. On a relative value basis they look a tad rich to me as 5s 10s 30s has richened. They have also performed quite well versus overseas benchmarks. The 10 year US versus 10 year Germany spread has narrowed to 140 after trading as wide as 160 recently. Similarly US versus Spain has moved from north of 60 to 28 basis points this morning. That will diminish I think the arb bid but real investors lacking alternatives will still park money here. I think at these spreads I would prefer the 30 year bond tomorrow to the 10 year note. It remains close to a local wide to 5s and 10s and has not flattened yesterday or overnight as the market rallies. I think that the auction today will probably go quite well with oil motivating buyers. In the overnight session the oil minister from the UAE said that it will take two to three years for the price of oil to stabilize. That is not a comment which will discourage anyone from buying anything with a fixed rate coupon attached to it.

 

Trenchant Analysis

January 12th, 2015 10:56 am

In the interest of full disclosure the author, RIchard Gilhooly, is a friend and former colleague. Notwithstanding  former his association with me he writes great stuff that will get the synapses in the brain firing.

Via Richard Gilhooly at TDSecurities:

Short and intermediate Treasuries continue to have a strong bid ahead of today’s earlier than usual 3yr note auction, continuing the re-pricing from the record drop in nominal wages reported on Friday. From our perspective, the surprise was the 0.4% rise in earnings reported a month earlier, and the market agreed at that time by flattening the 5-30s curve some 20-30bp as increased momentum in the labor market and wage acceleration became more realistic. However, over the course of the month, inflation expectations globally dropped sharply and bond yields reached the historic lows under 2.50%, as the possibility of a more hawkish Fed was seen as adding to deflation concerns.

Friday’s data not only revised history to show a much more tame 0.2% reading for November, but also reported a -0.2% for December, leaving the 2 month change at zero, versus expectations of a 0.2% reading for December that would have equated to 0.6% over the 2 months. While the Fed should not react to one month’s data, it appears they did react to the 0.4% reading, especially the suggestion of rate hikes being off the table ‘only’ for the next 2 meetings. The fact that this data was revised, leaving a more consistent pattern going back 3 yrs of real wage stagnation– despite U/E rates getting closer to the Fed’s postulated NAIRU–should be a wake up call to the Fed that wages continue to ‘hug’ inflation, with the concept of negative nominal wage changes no longer an alien concept.

Just as wages hugged inflation on the upside in the 1970s, broken by de-unionisation and de-linking wages from CPI, nominal wages are hugging a dis-inflation and now an increased risk of deflation, requiring some similar intervention if such a spiral is to be avoided. An increase in the minimum wage is one such way of introducing a wedge, but as Japan shows, corporations will resist pressure to raise wages even when policy delivers higher inflation as a priority of the BOJ. Ironically, the Yen price of crude oil has reverted back to 2013 levels as oil prices have dropped roughly the same magnitude as $/Yen, possibly giving more scope for corporations to pass on to wages some part of the profitability boost from Yen devaluation.

In the meantime, we find a leading investment bank admitting that their Crude forecast was woefully inaccurate, yet still impacting the market this morning by stating the obvious and lowering their crude price near-term forecast. Copper prices also are making new lows, as is iron ore, pulling intermediate Treasury yields lower as the possibility of more negative wage prints remains, with the participation rate at a 37yr low. The U/E rate tells only half the story, of people no longer getting unemployment benefits being forced to take low paying jobs they previously rejected, while employers are fully aware of the drop in the price level when setting hourly wages.

Today’s New Issue Corporate Supply

January 12th, 2015 10:49 am

Via Bloomberg and it is long:

IG CREDIT: List of New Issues Expected to Price in U.S. Today
2015-01-12 15:01:00.2 GMT

By Greg Chang
(Bloomberg) — The following is a list of new issues
expected to price today:
* Export-Import Bank of Korea $benchmark Aa3/A+
* 5Y, 10Y
* IPT 5Y +105, 10Y +120 both area
* Denoms: 200k x 1k
* Books: BofAML, BARCLAYS, C, DB, HSBC, JPM, RBS
* Books: BofAML, BARCLAYS, C, DB, HSBC, JPM, RBS</li></ul>
* Australia New Zealand Banking Group $benchmark Aa2/AA-
* 3Y fxd and/or FRN; 144A/Reg S
* IPT 3Y fxd +70 area, 3Y FRN 3mL equiv
* Books: ANZ, C, GS, RBC
* Books: ANZ, C, GS, RBC</li></ul>
* DDR Corp. $350m Baa2/BBB-
* 10Y
* IPT +190-195
* Books: DB, JEF, WFS
* Books: DB, JEF, WFS</li></ul>
* United Mexican States $benchmark A3/BBB+
* Tap of 3.60% 1/2025, 41Y
* IPT tap +175, 41Y +225 both area
* Denoms: 200k x 1k
* Books: BofAML, CS, MS
* Books: BofAML, CS, MS</li></ul>
* American Honda Finance $benchmark A1/A+
* 1Y FRN
* 3mL +low single digits
* Books: BofAML, C, MS, WFS
* Books: BofAML, C, MS, WFS</li></ul>
* American International Group Inc. $benchmark Baa1/A-
* 20Y, 40Y
* IPT 20Y +mid 150s, 40Y +190-195
* Books: C, JPM, USB, WFS
* Books: C, JPM, USB, WFS</li></ul>
* Nationwide Building Society $benchmark A2/A
* 5Y; 144A/Reg S
* IPT +low 100s/110 area
* Denoms: 200k x 1k
* Books: Barclays, C, CS, UBS
* Books: Barclays, C, CS, UBS</li></ul>
* Northeast Utilities $450m (no grow) Baa1/BBB+
* $150m 3Y, $300m 10Y
* IPT 3Y +90, 10Y +137.5 both area
* Books: BofAML, Barclays, RBC
* Books: BofAML, Barclays, RBC</li></ul>
* Ecolab $600m (no grow) Baa1/BBB+
* 3Y, 5Y
* IPT 3Y +80, 5Y +105 both area
* Books: C, JPM
* Books: C, JPM</li></ul>
* Brookfield Asset Management Inc. $350m Baa2/A-
* 10Y
* IPT +212.5 area
* Books: C, CS
* Books: C, CS</li></ul>
* Mandated:
* KfW mandated HSBC, NOM, TD for 3Y global $benchmark sometime
in near future depending on market conditions
* IPT MS -4 area
* IPT MS -4 area</li></ul>

Bank America Thinks 1.60 10 Year Possible

January 12th, 2015 7:02 am

I believe that when the “taper tanturm”began in May 2013 the 10 year was trading at 1.60 percent. In that ugly spasm the 10 year retreated to 3 percent by labor Day and has rarely looked back since. So the full round trip back to 1.60 would be fitting and proper.

Via Bloomberg:

RATES: BofAML Turns Neutral on Duration, Says 1.60% 10Y Possible
2015-01-12 11:50:16.159 GMT

By Elizabeth Stanton
(Bloomberg) — Longer-term UST yields “remain beholden to
global factors, namely oil, ECB and Greece,” and “risks to
lower rates have increased,” BofAML strategists led by Priya
Misra say in Jan. 9 report.
* “If global bond yields continue to fall, we expect U.S.
rates to move lower in sympathy”
* As long as U.S.-German 10Y spread is above 120bps,
“investors who are not hedging the currency exposure will
continue to find Treasuries attractive to Bunds despite a
stronger fundamental growth backdrop in the U.S.”
* An increase in mortgage refinancing (which has lagged the
drop in mortgage rates during holiday season) may further
support lower yields; BofAML estimates current convexity
hedging needs of about $60b 10Y equivalents, increasing by
another $65-$70b for every 24bp decline in rates

What to watch for today

January 12th, 2015 6:57 am

Via Bloomberg:

WHAT TO WATCH:
* (All times New York)
Economic Data
* 10:00am: Fed’s Labor Market Conditions Index, Dec. (prior
2.9)
Central Banks
* 12:40pm: Fed’s Lockhart speaks in Atlanta
Supply
* 11:00am: U.S. to announce plans for auction of 4W bills
* 11:30am: U.S. to sell $24b 3M, $24b 6M bills
* 1:00pm: U.S. to sell $24b 3Y notes